Malfunctiion Indicator Lamp (MIL)

I have the MIL indicator on since this morning. The indicator stays on while I drive that indicates there is a malfunction in the engine system. Last year I had this indicator on and I replaced the Oxygen sensor from the VW dealer.

Can someone tell me if this is due to the Oxygen sensor ( since that is the most common failure) or something else could be wrong. My car is fairly new with 60K km, (VR6 2000) and there is no problem with the engine i.e. no noise, vibratrion or overheat.

Thanks
Faisal.

I'd have the codes checked as it could be a number of things. Alot of them are covered under basic or extended warranties.